【基本面信息】
　　橡胶：截至2023年2月10日，上期所天然橡胶196282（2808）吨，仓单185120，20号胶库存32548（-1854）吨，仓单27761（2985）吨。
　　 PVC：PVC供应端生产企业开工负荷相对稳定开工负荷变动不大，截止2月9日周度数据显示PVC整体开工负荷率79.03%，环比提升0.52个百分点；其中电石法PVC开工负荷率77.33%，环比提升0.17个百分点；乙烯法PVC开工负荷率85.22%，环比提升1.87个百分点。
　　甲醇：库存方面，港口库存总量报71.51万吨，环比+1.69万吨。企业库存环比-2.04万吨，报46.77万吨。利润方面，煤炭下跌，企业利润小幅回升，绝对值仍处于低位水平。

研究报告全文：能源化工期权周报期权研究2023年2月13日星期一基本面信息橡胶截至2023年2月10日上期所天然橡胶1962822808吨仓单18512020号胶库存32548-1854吨仓单277612985吨PVCPVC供应端生产企业开工负荷相对稳定开工负荷变动不大截止2月9日周度数据显示PVC整体开工负荷率7903环比提升052个百分点其中电石法PVC开工负荷率7733环比提升017个百分点乙烯法PVC开工负荷率8522环比提升187个百分点卢品先甲醇库存方面港口库存总量报7151万吨环比169万吨企业库存环比-204万吨报4677万吨利润方面煤炭下跌企业利润小幅回升绝对值仍处于低位水平投研经理行情概要与期权分析0755-23375252标的行情沪胶维持近两周以来的弱势偏空头下跌趋势周跌幅126报收于12530甲醇上周冲高回落后连续lupxwkqhcn弱势下行周跌幅197报收于2645PTA上升受阻冲高回落后维持近两周以来的弱势下行周跌幅267报收于5480塑料前一周高位回落后连续弱势下行上周以来维持在21天均线和60天均线之间盘整震荡周跌幅177报收从业资格号于8170聚丙烯一个月以来形成倒V型走势上周以来矩形区间窄幅盘整周跌幅169报收于7848PVC20天均线F3047321以来窄幅区间盘整震荡周涨幅050报收于6229交易咨询号日均成交量上周能源化工类甲醇期权和PTA期权日均成交量大幅度减少其他能源化工类期权增减不一变化不Z0015541大橡胶期权日均成交量减少045万张至220万张甲醇期权日均成交量减少758万张至1605万张PTA期权日均成交量减少816万张至4114万张塑料期权期权日均成交量增加089万张至194万张聚丙烯期权日均成交量增加041万张至154万张PVC期权日均成交量增加045万张至408万张日均持仓量上周能源化工类期权日均持仓量LPG期权甲醇期权和PTA期权大幅减少以外而其他能源化工期权日均持仓量不同程度均有所增加其中橡胶期权日均持仓量增加138万张至725万张甲醇期权日均持仓量减少461万张至1375万张PTA期权日均持仓量减少786万张至3507万张塑料期权日均持仓量增加025万张至190万张聚丙烯期权日均持仓量增加037万张至258万张PVC期权日均持仓量增加258万张至891万张持仓量PCR一般认为期权的持仓量PCR为100时是多头和空头的分界线期权持仓量PCR站在期权卖方的角度看标的行情的走势上周橡胶期权持仓量PCR窄幅波动收于061甲醇期权持仓量PCR快速下降报收于067PTA期权持仓量PCR急速下降报收于062塑料期权持仓量PCR小幅波动报收于085聚丙烯期权持仓量PCR小幅下跌报收于099PVC期权持仓量PCR持续下降回落维持较低水平报收于047隐含波动率上周能源化工类期权隐含波动率普遍小幅波动除了PTA期权的隐含波动率大幅上升以外截止收盘橡胶期权隐含波动率窄幅波动报收于2194甲醇期权隐含波动率持续下降报收于2124PTA期权隐含波动率窄幅波动报收于2410塑料期权隐含波动率小幅下降报收于1659聚丙烯期权隐含波动率报收于1629PVC期权隐含波动率报收于2169结论与操作建议1橡胶期权沪胶维持近两周以来的弱势偏空头跌趋势橡胶期权隐含波动率窄幅波动持仓量PCR维持在较低水平操作建议构建卖出看涨看跌期权偏空头组合策略获取方向性收益和时间价值收益若市场行情急速大涨则逐渐平仓离场如RU2305期权SRU2305P1225010SRU2305P1250010和SRU2305C1275010SRU2305C12500102甲醇期权甲醇高位回落后连续震荡下行近一个月以来形成倒V型走势短期趋势空头下跌甲醇期权隐含波动率窄幅波动持仓量PCR快速下降至较低水平操作建议构建卖出偏空头的看涨看跌期权组合策略获取时间价值和方向性收益若市场行情快速大涨则逐渐平仓离场如MA304期权SMA304P255010SMA304P260010和STMA304C265010SMA304C2600103PTA期权PTA高位回落后延续近两周以来的弱势偏空头逐渐下跌而下方有60天均线支撑形成中期趋势向上短期趋势偏空头的行情走势PTA期权隐含波动率小幅上升持仓量PCR急速下跌操作建议构建卖出看涨看跌期权偏空头组合策略获取时间价值和方向性收益若市场行情快速大涨则逐渐平仓离场如TA304期权STA304P530010STA304P540010和STA304C550010STA304C5600104PVC期权PVC维持一周多以来20天均线以来窄幅区间盘整震荡PVC期权隐含波动率小幅波动持仓量PCR维持在较低水平操作建议构建卖出宽跨式期权组合策略获取时间价值若市场行情快速或大跌突破区间上下限则平仓离场如V2305期权SV2305-P-610010SV2305-P-620010和SV2305-C-630010SV2305-C-6400105塑料期权塑料前一周高位回落后连续弱势下行上周以来维持在21天均线和60天均线之间盘整震荡塑料期权隐含波动率小幅波动持仓量PCR快速下跌报收于100以下操作建议构建卖出偏空头的宽跨式期权组合策略获取时间价值收益和方向性收益若市场行情快速大涨则平仓离场如L2305期权SL2305-P-800010SL2305-P-810010和SL2305-C-820010SL2305-C-830010一周市场行情回顾期权品种标的合约收盘价涨跌涨跌幅周日均成交量万增减上周日均持仓量万增减RURU230512530-15500-1262706-0812305369MAMA23042645-5800-19780837648482793PTATA23045480-15000-267215294863362012LPGPG2304518312300216324225556244LL23058170-10900-17730426213825-425PPPP23057848-11500-16938277294308-018PVCV230562293000509659153790241862期权总成交与持仓上周日均总成交量万张上周日均总持仓量万张期权品种CallPut合计变化PCRCallPut合计变化PCRRU16041593421975-445003744392281507254213816063MA9240368109160512-758010747178665728137513-46092092PTA234261177148411408-81602076217992132747350739-78570061LPG237271876242489-1382079133131208825402-11406091L941210006194188859106100768950190262524089PP821472241543841430881259613229258263737105PVC237611708340844450307258950301478909725804051主力期货合成期权期权标的合约平值期权权利金C权利金P合成价格涨跌涨跌幅升贴水剩余天数到期日RU230512500466003850012581-9300-0735100502023-04-24MA23042650515057502644-5200-193-100152023-03-03TA2304550011000141005469-14750-263-1100152023-03-03PG23045200104402058050992280045-8440172023-03-07L2305820017850228508150-8750-106-2000402023-04-10PP2305780021500167507848-25300-312-050402023-04-10V2305620021850176506242-1000-0161300402023-04-10注平值是以主力月合约call与put权利金相减最小为基准平值合成期权升贴水平值call权利金-pu权利金-标的价格主力期权合约隐含波动率期权标的合约IMP-CIMP-PIMP-T变化MA20UPLOWRU2305234017642194-010226023142205MA2304214920932124-002242227862058TA2304251922822410043262930802178PG2304277827812779-038306234552669L2305175915771659-005179218621722PP2305169715461629-007175418321676V2305231220062169-021232324092238主力期权合约持仓量PCR期权标的合约量-Call量-Put量-PCR变化持仓-Call持仓-Put持仓-PCR变化RU23052224975540340024093524900061000MA230483635658720790064793432332067-008TA230427243223229508501712913980606062-033PG2304103311119410802563615731090013L23051218815016123045116499931085000PP23051238110069081-0061356113412099-002V230527131237170870086285629427047-000数据来源wind资讯五矿期货期权事业部标的价量关系图1橡胶主力合约走势图1400060成交量万收盘价1350050130001254500401250030120002011500101100002022-08-052022-11-182022-12-092022-08-022022-08-102022-08-152022-08-182022-08-232022-08-262022-08-312022-09-052022-09-082022-09-142022-09-192022-09-222022-09-272022-09-302022-10-122022-10-172022-10-202022-10-252022-10-282022-11-022022-11-072022-11-102022-11-152022-11-232022-11-282022-12-012022-12-062022-12-142022-12-192022-12-222022-12-272022-12-302023-01-052023-01-102023-01-132023-01-182023-01-302023-02-022023-02-072023-02-10图2甲醇主力合约走势图3000300成交量万收盘价290025028002002700259800260015025001002400230050220002022-09-272022-11-022023-02-102022-08-022022-08-052022-08-102022-08-152022-08-182022-08-232022-08-262022-08-312022-09-052022-09-082022-09-142022-09-192022-09-222022-09-302022-10-122022-10-172022-10-202022-10-252022-10-282022-11-072022-11-102022-11-152022-11-182022-11-232022-11-282022-12-012022-12-062022-12-092022-12-142022-12-192022-12-222022-12-272022-12-302023-01-052023-01-102023-01-132023-01-182023-01-302023-02-022023-02-07图3PTA主力合约走势图6000350成交量万收盘价5800300250560054600020054001505200100500050480002022-08-152022-08-022022-08-052022-08-102022-08-182022-08-232022-08-262022-08-312022-09-052022-09-082022-09-142022-09-192022-09-222022-09-272022-09-302022-10-122022-10-172022-10-202022-10-252022-10-282022-11-022022-11-072022-11-102022-11-152022-11-182022-11-232022-11-282022-12-012022-12-062022-12-092022-12-142022-12-192022-12-222022-12-272022-12-302023-01-052023-01-102023-01-132023-01-182023-01-302023-02-022023-02-072023-02-10标的价量关系图5LPG主力合约走势图600018成交量万收盘价165500141210500086450047890042400002022-08-022022-08-052022-08-102022-08-152022-08-182022-08-232022-08-262022-08-312022-09-052022-09-082022-09-142022-09-192022-09-222022-09-272022-09-302022-10-122022-10-172022-10-202022-10-252022-10-282022-11-022022-11-072022-11-102022-11-152022-11-182022-11-232022-11-282022-12-012022-12-062022-12-092022-12-142022-12-192022-12-222022-12-272022-12-302023-01-052023-01-102023-01-132023-01-182023-01-302023-02-022023-02-072023-02-10图6塑料主力合约走势图900075成交量万收盘价60850045800081420030750015700002022-08-312022-11-102022-08-022022-08-052022-08-102022-08-152022-08-182022-08-232022-08-262022-09-052022-09-082022-09-142022-09-192022-09-222022-09-272022-09-302022-10-122022-10-172022-10-202022-10-252022-10-282022-11-022022-11-072022-11-152022-11-182022-11-232022-11-282022-12-012022-12-062022-12-092022-12-142022-12-192022-12-222022-12-272022-12-302023-01-052023-01-102023-01-132023-01-182023-01-302023-02-022023-02-072023-02-10图7PP主力合约走势图840090成交量万收盘价8200807080006078005076004078340030740020720010700002022-10-252022-11-152022-12-062022-08-022022-08-052022-08-102022-08-152022-08-182022-08-232022-08-262022-08-312022-09-052022-09-082022-09-142022-09-192022-09-222022-09-272022-09-302022-10-122022-10-172022-10-202022-10-282022-11-022022-11-072022-11-102022-11-182022-11-232022-11-282022-12-012022-12-092022-12-142022-12-192022-12-222022-12-272022-12-302023-01-052023-01-102023-01-132023-01-182023-01-302023-02-022023-02-072023-02-10图8PVC主力合约走势图7000180收盘价收盘价16065001401201006000806246006055004020500002022-09-272022-12-222022-08-022022-08-052022-08-102022-08-152022-08-182022-08-232022-08-262022-08-312022-09-052022-09-082022-09-142022-09-192022-09-222022-09-302022-10-122022-10-172022-10-202022-10-252022-10-282022-11-022022-11-072022-11-102022-11-152022-11-182022-11-232022-11-282022-12-012022-12-062022-12-092022-12-142022-12-192022-12-272022-12-302023-01-052023-01-102023-01-132023-01-182023-01-302023-02-022023-02-072023-02-10橡胶期权持仓分布橡胶期权持仓分布图橡胶期权持仓变化图90005008000400700060003005000200400030001002000010000-10012000120001350015000130001000010000105001100011500125001300014000145001550016000100001050011000115001200012500135001400014500150001550016000OIPOICOICHANGEPOICHANGEC橡胶期权最大未平仓橡胶认购认沽合约最大持仓量所在的行权价1800017000160001500014000130001200011000100002022-12-142022-12-222022-12-302022-08-022022-08-052022-08-102022-08-152022-08-182022-08-232022-08-262022-08-312022-09-052022-09-082022-09-142022-09-192022-09-222022-09-272022-09-302022-10-122022-10-172022-10-202022-10-252022-10-282022-11-022022-11-072022-11-102022-11-152022-11-182022-11-232022-11-282022-12-012022-12-062022-12-092022-12-192022-12-272023-01-052023-01-102023-01-132023-01-182023-01-302023-02-022023-02-072023-02-10橡胶期权到期日收盘价C最大持仓P最大持仓橡胶期权持仓量PCR橡胶期权隐含波动率08014000OIPCR32CLOSE0700608313500301254500280601300026050125002404012000220301150020020110002022-08-022022-08-102022-08-182022-08-262022-09-052022-09-142022-09-222022-09-302022-10-172022-10-252022-11-022022-11-102022-11-182022-11-282022-12-062022-12-142022-12-222022-12-302023-01-102023-01-182023-02-022023-02-102023-02-022022-08-122022-08-242022-09-052022-09-162022-09-282022-10-172022-10-272022-11-082022-11-182022-11-302022-12-122022-12-222023-01-042023-01-162022-08-02IMPVMA20UPLOW甲醇期权持仓分布甲醇期权持仓分布图甲醇期权持仓变化图80003500700030002500600020005000150040001000300050002000-5001000-10000-15002400215022002250230023502450250026002700280029003000310032003300340021502200225023002350240024502500260027002800290030003100320033003400OIPOICOICHANGEPOICHANGEC甲醇期权最大未平仓甲醇认购认沽合约最大持仓量所在的行权价32003000280026002400220020002022-08-312022-10-172022-11-232022-12-302022-08-022022-08-052022-08-102022-08-152022-08-182022-08-232022-08-262022-09-052022-09-082022-09-142022-09-192022-09-222022-09-272022-09-302022-10-122022-10-202022-10-252022-10-282022-11-022022-11-072022-11-102022-11-152022-11-182022-11-282022-12-012022-12-062022-12-092022-12-142022-12-192022-12-222022-12-272023-01-052023-01-102023-01-132023-01-182023-01-302023-02-022023-02-072023-02-10甲醇期权到期日收盘价C最大持仓P最大持仓甲醇期权持仓量PCR甲醇期权隐含波动率1802598002900OIPCR552800150CLOSE2700451202600250035090240025060230006745220003015210000020002022-08-022022-08-102022-08-182022-08-262022-09-052022-09-142022-09-222022-09-302022-10-172022-10-252022-11-022022-11-102022-11-182022-11-282022-12-062022-12-142022-12-222022-12-302023-01-102023-01-182023-02-022023-02-102023-02-022022-08-122022-08-242022-09-052022-09-162022-09-282022-10-172022-10-272022-11-082022-11-182022-11-302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2-08-242022-09-052022-09-162022-09-282022-10-172022-10-272022-11-082022-11-182022-11-302022-12-122022-12-222023-01-042023-01-162022-08-02IMPVMA20UPLOWPVC期权持仓分布PVC期权持仓分布图PVC期权持仓变化图2000012001800010001600014000800120006001000040080006000200400002000-2004850485053005300560059006200650068007100740077008000830086008900920005000485048508000500050005300560059006200650068007100740077008300860089009200OIPOICOICHANGEPOICHANGECPVC期权最大未平仓PVC认购认沽合约最大持仓量所在的行权价850080007500700065006000550050002022-09-142022-11-232023-02-072022-08-022022-08-052022-08-102022-08-152022-08-182022-08-232022-08-262022-08-312022-09-052022-09-082022-09-192022-09-222022-09-272022-09-302022-10-122022-10-172022-10-202022-10-252022-10-282022-11-022022-11-072022-11-102022-11-152022-11-182022-11-282022-12-012022-12-062022-12-092022-12-142022-12-192022-12-222022-12-272022-12-302023-01-052023-01-102023-01-132023-01-182023-01-302023-02-022023-02-10聚氯乙烯期权到期日收盘价C最大持仓P最大持仓PVC期权持仓量PCRPVC期权隐含波动率110OIPCR700045CLOSE680010062460040660009035640008062003007060002506058002056001505054001020222022202220222022202220222022202220222022202220222022202220222022202220232023202320230405200----------------------0908080809090910101111111112121212010102020305000082022202220222022202220222022202220222022202220222022202220222023202320232023----------------------22021018260514301725021018280614223010180210-------------------09110808080809091010111112121201010202-------------------09250211223121301827071606152605160110IMPVMA20UPLOW策略应用和分析橡胶日行情K线图橡胶期权交易策略和到期损益图沪胶维持近两周以来的弱势偏空头跌趋势橡胶期权隐含波动率窄幅波动持仓量PCR维持在较低水平操作建议构建卖出看涨看跌期权偏空头组合策略获取方向性收益和时间价值收益若市场行情急速大涨则逐渐平仓离场如RU2305期权SRU2305P1225010SRU2305P1250010和SRU2305C1275010SRU2305C1250010到期损益图如下策略应用和分析甲醇日行情K线图甲醇期权交易策略和到期损益图甲醇高位回落后连续震荡下行近一个月以来形成倒V型走势短期趋势空头下跌甲醇期权隐含波动率窄幅波动持仓量PCR快速下降至较低水平操作建议构建卖出偏空头的看涨看跌期权组合策略获取时间价值和方向性收益若市场行情快速大涨则逐渐平仓离场如MA304期权SMA304P255010SMA304P260010和STMA304C265010SMA304C260010到期损益图如下策略应用和分析PTA日行情K线图PTA期权交易策略和到期损益图PTA高位回落后延续近两周以来的弱势偏空头逐渐下跌而下方有60天均线支撑形成中期趋势向上短期趋势偏空头的行情走势PTA期权隐含波动率小幅上升持仓量PCR急速下跌操作建议构建卖出看涨看跌期权偏空头组合策略获取时间价值和方向性收益若市场行情快速大涨则逐渐平仓离场如TA304期权STA304P530010STA304P540010和STA304C550010STA304C560010策略到期损益图如下策略应用和分析PVC日行情K线图PVC期权交易策略和到期损益图PVC维持一周多以来20天均线以来窄幅区间盘整震荡PVC期权隐含波动率小幅波动持仓量PCR维持在较低水平操作建议构建卖出宽跨式期权组合策略获取时间价值若市场行情快速或大跌突破区间上下限则平仓离场如V2305期权SV2305-P-610010SV2305-P-620010和SV2305-C-630010SV2305-C-640010策略到期损益图如下策略应用和分析聚丙烯日行情K线图聚丙烯期权交易策略和到期损益图聚丙烯一个月以来形成倒V型走势上周以来矩形区间窄幅盘整聚丙烯期权隐含波动率小幅波动持仓量PCR持续下降操作建议构建卖出偏空头的宽跨式期权组合策略获取时间价值收益和方向性收益若市场行情快速大涨则平仓离场如PP2305期权SPP2305-P-770010SPP2305-P-780010和SPP2305-C-790010SPP2305-C-800010策略到期损益图如下策略应用和分析塑料日行情K线图塑料期权交易策略和到期损益图塑料前一周高位回落后连续弱势下行上周以来维持在21天均线和60天均线之间盘整震荡塑料期权隐含波动率小幅波动持仓量PCR快速下跌报收于100以下操作建议构建卖出偏空头的宽跨式期权组合策略获取时间价值收益和方向性收益若市场行情快速大涨则平仓离场如L2305期权SL2305-P-800010SL2305-P-810010和SL2305-C-820010SL2305-C-830010策略到期损益图如下免责声明五矿期货有限公司是经中国证监会批准设立的期货经营机构已具备有商品期货经纪金融期货经纪资产管理期货交易咨询等业务资格本刊所有信息均建立在可靠的资料来源基础上我们力求能为您提供精确的数据客观的分析和全面的观点但我们必须声明对所有信息可能导致的任何损失概不负责本报告并不提供量身定制的交易建议报告的撰写并未虑及读者的具体财务状况及目标五矿期货研究团队建议交易者应独立评估特定的交易和战略并鼓励交易者征求专业财务顾问的意见具体的交易或战略是否恰当取决于交易者自身的状况和目标文中所提及的任何观点都仅供参考不构成买卖建议版权声明本报告版权为五矿期货有限公司所有本刊所含文字数据和图表未经五矿期货有限公司书面许可任何人不得以电子机械影印录音或其它任何形式复制传播或存储于任何检索系统不经许可复制本刊任何内容皆属违反版权法行为可能将受到法律起诉并承担与之相关的所有损失赔偿和法律费用五矿期货分支机构深圳总部业务一部深圳市南山区滨海大道3165号五矿金融大厦13-16层电话400-888-5398电话0755-83252740业务二部业务三部电话0755-88917165电话0755-83752356业务四部业务五部电话010-68331868-183电话028-85053476深圳营业部北京分公司深圳市福田区福华三路1006号诺德大厦30D1北京市海淀区首体南路6号新世纪世行饭店写字楼1253室电话0755-83752310电话010-68332068上海分公司成都分公司上海市浦东新区向城路288号国华人寿金融大厦902903成都高新区天府大道北段1288号1幢3单元12层12041205电话021-58784529电话028-86131072青岛分公司北京营业部山东省青岛市东海西路35号太平洋中心1写字楼409北京市丰台区广安路9号院6号楼408409电话0532-85780820电话010-64185322广州营业部湛江营业部广东省广州市天河区珠江西路17号广晟国际大厦24楼2407广东省湛江市开发区乐山东路35号银隆广场12层A1210室电话020-29117582电话0759-2856220天津营业部西安营业部天津市滨海高新区华苑产业区梅苑路5号金座广场2101-陕西省西安市新城区纬什街新科路1号楼一层2102电话029-87572985电话022-23778878宁波中山西路营业部重庆营业部浙江省宁波市海曙区布政巷16号12楼1205室重庆市江北区江北城西大街25号11-1电话0574-87330527电话023-67078086郑州营业部南通营业部郑州市未来路69号未来大厦16层1612号江苏省南通市青年东路81号南通大饭店B楼财富中心2003室电话0371-65619030电话0513-81026105杭州民心路营业部台州爱华路营业部浙江省杭州市江干区万银大厦1408室浙江省台州市椒江区爱华新台州大厦8-A电话0571-81969926电话0576-89811511济南营业部昆明营业部山东省济南市历下区山大路201号天业科技商务大厦401云南省昆明市盘龙区北京路612号银海国际公寓D座3201室427室电话0871-63338532电话0531-83192255大连营业部唐山营业部辽宁省大连市沙河口区会展路大连国际金融中心A座大连期河北省唐山市路北区军鑫里凤城国贸1楼21层2104号货大厦2001号电话0315-5936395电话0411-84800452武汉营业部湖北省武汉市江岸区三阳路8号天悦星辰A栋26楼2602室电话0755-23375007